Pages that link to "Item:Q5749130"

The following pages link to Portfolio Selection with Transaction Costs (Q5749130):

Displaying 50 items.

• Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
• On investment consumption modeling with jump process extensions for productive sectors (Q262002) (← links)
• Portfolio analysis with transaction costs under uncertainty (Q267615) (← links)
• Market making with asymmetric information and inventory risk (Q281334) (← links)
• Optimal impulse control of a portfolio with a fixed transaction cost (Q301216) (← links)
• Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
• Dynamic portfolio choice with frictions (Q308647) (← links)
• Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) (← links)
• Leverage management in a bull-bear switching market (Q311005) (← links)
• A note on finite horizon optimal investment and consumption with transaction costs (Q316893) (← links)
• Malliavin method for optimal investment in financial markets with memory (Q317870) (← links)
• On the strategic behavior of large investors: a mean-variance portfolio approach (Q323400) (← links)
• An optimal consumption-investment model with constraint on consumption (Q326805) (← links)
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (Q360987) (← links)
• Numerical solution of an optimal investment problem with proportional transaction costs (Q415202) (← links)
• Asset liquidity and the valuation of derivative securities (Q442747) (← links)
• Maximum principle for stochastic recursive optimal control problems involving impulse controls (Q448783) (← links)
• Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370) (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• Analysis of optimal strategies for a competing stock market portfolio model with a polyvariant profit function (Q464874) (← links)
• Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility (Q470525) (← links)
• Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
• Optimal investment and consumption with proportional transaction costs in regime-switching model (Q481779) (← links)
• Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
• A spectral method for an optimal investment problem with transaction costs under potential utility (Q515774) (← links)
• Existence of shadow prices in finite probability spaces (Q532533) (← links)
• A tree-weighting approach to sequential decision problems with multiplicative loss (Q551626) (← links)
• Portfolio choice under transitory price impact (Q609848) (← links)
• Illiquidity, position limits, and optimal investment for mutual funds (Q634528) (← links)
• Modeling non-monotone risk aversion using SAHARA utility functions (Q643277) (← links)
• Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? (Q650754) (← links)
• The fundamental theorem of asset pricing for continuous processes under small transaction costs (Q666440) (← links)
• Determining mixed linear-nonlinear coupled differential equations from multivariate discrete time series sequences (Q675936) (← links)
• A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585) (← links)
• Introduction to convex optimization in financial markets (Q715237) (← links)
• Shadow price in the power utility case (Q748318) (← links)
• Transactions costs and portfolio choice in a discrete-continuous-time setting (Q751956) (← links)
• Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration (Q781087) (← links)
• Portfolio insurance with liquidity risk (Q841847) (← links)
• Portfolio optimization with transaction costs: a two-period mean-variance model (Q889558) (← links)
• Asymptotic analysis for target asset portfolio allocation with small transaction costs (Q903330) (← links)
• A variational inequality arising from European option pricing with transaction costs (Q943445) (← links)
• Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good (Q951456) (← links)
• Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
• Asset allocation with distorted beliefs and transaction costs (Q953450) (← links)
• Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice (Q953662) (← links)
• European option pricing and hedging with both fixed and proportional transaction costs (Q956487) (← links)
• Computation of reservation prices of options with proportional transaction costs (Q956510) (← links)
• A note on the integrability of the classical portfolio selection model (Q988735) (← links)
• On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)